Another, similar approach would be to support some kind of help content inside the framework, such that I could add something to map certain error to certain help, then Oxygen adds a help icon or link to the message opening the help content.

A hot link is fine too, especially if it's also hot in the Errors tab. I worry that many users won't know to do Show Message. Or perhaps double clicking on a message in the Errors tab should be the same as Right-Click->Show Message.

If you want to add link to the Schematrom message you must specify the link in the value of the @see attribute. The attribute can be added on the report/assert element or on the rule (as "xephon" said). The links are presented as a clickable icon, both on the tooltip that is presented when you hover over an error in editor, and in the results view. For your example the Schematron rule should look like this:

If you want to add some a help inside a framework you can use a catalog to redirect the links to the local help. For this you must create a catalog file, and add it to your framework using the Catalogs tab from the Document Type configuration dialog box.
For your example the catalog can look like the one below: